She directed the Netflix special (premiering Friday), "A Very Murray Christmas," an offbeat ode to the holidays featuring a slew of musical numbers and celebrity cameos -- in the form of Chris Rock, Amy Poehler and George Clooney, for starters.

Murray is famously elusive; he can't be reached either via agent or manager. And yet, Coppola could be called Hollywood's official Bill Murray whisperer -- she directed him to his only Oscar nomination for 2003's magically pensive "Lost in Translation."

"Yes, there really is a 1-800 number and a PO box for him. Not many people can get away with that but Bill can. I appreciate how private he is, too, and he'll show up unexpectedly," she says. "It's reached mythic proportions."

Now, the two can improv together. But back when she was in Tokyo, waiting for Murray to show up (or not) on the "Translation" set, things were dicier.

"I was so desperate the year I was trying to track him down. I remember seeing someone in sports and thinking, 'Bill likes golf – do you know him?' I was like a crazy person. My poor family had to hear about it for ages," she says. "We have some kind of understanding now of how we work together. He gets what I appreciate."

Murray aside, much has been written of late about the dearth of opportunities afforded to female filmmakers. Coppola is one of the few who consistently works. Being the daughter of Francis Ford helped initially, she says, and instilled in her a love of movie sets. Now, it's all about going to an office, writing alone, and retaining her own vision.

"My whole way of working starts with an idea I'm excited about and how to make it into a movie, as opposed to: I want to make a movie. I definitely like doing projects on my own and setting them up in a way that I have creative control," she says.

What's next for the director of "Marie Antoinette" and "The Virgin Suicides?"

"It's still early stages but I've been working on a script that's an intimate story. It's still early," says Coppola.

There's more to see of Coppola.

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OnlyOnAOL: How Sofia Coppola became the Bill Murray whisperer

BEVERLY HILLS, CA - AUGUST 17: ***NO U.S. SALES FOR 90 DAYS*** ***U.S. TABLOIDS OUT*** Director Sofia Coppola and actor Bill Murray pose at the press conference for their new film 'Lost in Translation' at the Four Seasons Hotel on August 17, 2003 in Beverly Hills, California. (Photo by Munawar Hosain/Getty Images)

FILMING PRODUCTION (ALT) BEHIND THE SCENES (ALT) LOCATION (ALT) ON SET (ALT) O/S 'LOST IN TRANSLATION (2003) WITH SOFIA COPPOLA